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MOR
2006
60views more  MOR 2006»
15 years 6 months ago
Measure-Valued Differentiation for Stationary Markov Chains
: We study general state-space Markov chains that depend on a parameter, say, . Sufficient conditions are established for the stationary performance of such a Markov chain to be di...
Bernd Heidergott, Arie Hordijk, Heinz Weisshaupt
MP
2006
78views more  MP 2006»
15 years 6 months ago
Valid inequalities based on the interpolation procedure
We study the interpolation procedure of Gomory and Johnson (1972), which generates cutting planes for general integer programs from facets of cyclic group polyhedra. This idea has...
Sanjeeb Dash, Oktay Günlük
FUIN
2007
85views more  FUIN 2007»
15 years 6 months ago
Entropies and Co-Entropies of Coverings with Application to Incomplete Information Systems
Different generalizations to the case of coverings of the standard approach to entropy applied to partitions of a finite universe X are explored. In the first approach any cover...
Daniela Bianucci, Gianpiero Cattaneo, Davide Ciucc...
MP
2006
107views more  MP 2006»
15 years 6 months ago
Optimality conditions in portfolio analysis with general deviation measures
Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable cou...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
MP
2006
97views more  MP 2006»
15 years 6 months ago
Subdifferential representations of risk measures
Measures of risk appear in two categories: Risk capital measures serve to determine the necessary amount of risk capital in order to avoid ruin if the outcomes of an economic acti...
Georg Ch. Pflug